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Time-frequency spillovers and connectedness between precious metals, oil futures and financial markets : hedge and safe haven implications

Mensi, Walid; Aslan, Aylin; Vo Xuan Vinh; Kang, Sang Hoon - In: International review of economics & finance : IREF 83 (2023), pp. 219-232

Persistent link: https://www.econbiz.de/10014239971

Expected Returns on Oil Futures Etfs

Cortazar, Gonzalo; Ortega, Hector; Santa Maria, Joaquin; … - 2022

This paper develops a new methodology to estimate oil ETF returns using WTI futures prices and analysts’ forecasts. Futures prices are obtained from the New York Mercantile Exchange, and analysts’ forecasts from Bloomberg and the U.S. Energy Information Administration.We use the United...

Persistent link: https://www.econbiz.de/10014241060

Less disagreement, better forecasts : adjusted risk measures in the energy futures market

Zhang, Ning; Gong, Yujing; Xue, Xiaohan - In: The journal of futures markets 43 (2023) 10, pp. 1332-1372

Persistent link: https://www.econbiz.de/10014339438

How to construct monthly VAR proxies based on daily futures market surprises

Kilian, Lutz - 2023

Persistent link: https://www.econbiz.de/10014382788

The effects of skewness on hedging decisions: an application of the skew-normal distribution in WTI and Brent futures

Yu, Xing; Wang, Xinxin; Wang, Yuxia; Li, Yanyan - In: Economic research 35 (2022) 1,3, pp. 3099-3118

Persistent link: https://www.econbiz.de/10014383582

Hedging pressure momentum and the predictability of oil futures returns

Yu, Dan; Chen, Chuang; Wang, Yudong; Zhang, Yaojie - In: Economic modelling 121 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014384325

Expected returns on commodity ETFs and their underlying assets

Cortazar, Gonzalo; Ortega, Hector; Santa Maria, Joaquin; … - In: Journal of commodity markets : JCM 36 (2024), pp. 1-20

Persistent link: https://www.econbiz.de/10015162611

Crude oil futures prices and foreign exchange markets

Alam, Md Rafayet; Forhad, Abdur Rahman; Islam, Mohammed … - In: Applied economics 56 (2024) 57, pp. 7636-7652

Persistent link: https://www.econbiz.de/10015135072

Three-factor commodity forward curve model and its joint P and Q dynamics

Ladokhin, Sergiy; Borovkova, Svetlana - In: Energy economics 101 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10013161542

Market efficiency in commodity futures : a case study of Mentha oil

Bhardwaj, S. P.; Vasisht, A. K. - In: Research in financial derivatives : commodity, equity, …, (pp. 282-295). 2011

Persistent link: https://www.econbiz.de/10009428262

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